Title :
Optimal observers for a class of continuous linear time-varying stochastic systems
Author_Institution :
Queen´´s University, Kingston, Ontario, Canada
fDate :
2/1/1977 12:00:00 AM
Abstract :
A simple method is presented for avoiding the use of signal differentiation in the design of a least-squares estimator for the state of a linear finite-dimensional time-varying stochastic system when the system outputs are unobscured by additive noise.
Keywords :
Least-squares estimation; Linear systems, stochastic continuous-time; Linear systems, time-varying continuous-time; Observers; Convergence; Costs; Observers; Output feedback; Riccati equations; State estimation; State feedback; Stochastic systems; Termination of employment; Time varying systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1977.1101434
